Improving futures hedging performance using option information: Evidence from the S&P 500 index

被引：3

作者：

Bai, Yujuan ^{[1
]}

Pan, Zhiyuan ^{[1
,2
]}

Liu, Li ^{[3
]}

机构：

[1] Southwestern Univ Finance & Econ, Inst Chinese Financial Studies, Chengdu, Sichuan, Peoples R China

[2] Collaborat Innovat Ctr Financial Secur, Chengdu, Sichuan, Peoples R China

[3] Nanjing Audit Univ, Sch Finance, West Yushan Rd 86, Nanjing 211815, Jiangsu, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2019年 / 28卷

基金：

美国国家科学基金会;

关键词：

Hedge ratio; Option-implied information; Volatility; Hedging performance; IMPLIED VOLATILITY; RATIO;

D O I：

10.1016/j.frl.2018.04.014

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Option prices contain important information about risk preferences. This study proposes an option-based model to estimate the optimal dynamic hedging ratio. Using a sample of S&P 500 index, we find that the option-implied hedging ratio has the best performance both in-sample and out-of-sample due to its relative risk aversion. This finding will help risk managers reduce their hedging risk.

引用

下载

页码：112 / 117

页数：6

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